GRUB loader not shown - Dual boot Windows 10 and Kali linux 2016.2

[_defalt]

Did you notice that the 3 in mount /dev/sda* /mnt would be different for your partition. Open Gparted and see /dev/sda* of your linux partition. For me it is /dev/sda5.
Also show the output of fdisk -l. I doubt that the above commands will work. They need a very little tweak after when you show the output.

In BIOS
- Kept UEFI enabled! (tried the whole thing also with legacy BIOS but didn't help me out)
- Disable Secure Boot in BIOS

You did this one right. Legacy BIOS should not be enabled. People still think that to dual boot kali-linux legacy BIOS should be kept enabled. Even several old guides on internet recommend that but it is wrong. Kali rolling is fully compatible with UEFI.

For the partitioning I tried different ways:
- Manual with automatical partitioning
- Manual with manual partition selection (EFI partition, Ext4, Swap ...)
- Guided

Recommended to choose-
-Manual
-Automatically partition the free space
-All files in one partition
Finish partitioning and write changes to disk

Anyway you still managed to dual boot it. It doesn't matter now. They are just recommendations.